Trend-Following Backtester · Guide · backtest 한국어
equity · TW
YANKEY ENGINEERING Co. LTD. backtest
10 trend-following strategies were compared on the full daily history of YANKEY ENGINEERING Co. LTD.. 2 beat buy-and-hold CAGR; Donchian 채널 돌파 ranks first by Sharpe, matching the main backtester. The return/drawdown alternative is EMA 크로스오버 (CAGR 37.6%, MDD -27.8%).
Results by strategy
2 of 10 beat buy and hold (CAGR 39.0%, drawdown -45.7%).
Sharpe leader (same as main): Donchian 채널 돌파 — CAGR 43.5%, MDD -33.0%, Sharpe 1.34, 81% exposure.
Return/drawdown alternative: EMA 크로스오버 — CAGR is 4.5%p higher than buy and hold, while drawdown improves by 12.7%p (CAGR 37.6%, MDD -27.8%, exposure 71%).
The alternative must retain 75% of buy-and-hold CAGR, improve drawdown by at least 20% and 5 percentage points, and stay below 95% exposure; the ranking weights return retention 60% and drawdown improvement 40%.
| Strategy · parameters | CAGR | MDD | Sharpe | Calmar | Total | Trades | Exposure |
|---|---|---|---|---|---|---|---|
| Donchian 채널 돌파 entryN=27, exitN=96 |
43.5% | -33.0% | 1.34 | 1.32 | 18.4x | 7 | 81% |
| EMA 크로스오버 fast=33, slow=39 |
37.6% | -27.8% | 1.26 | 1.35 | 13.1x | 18 | 71% |
| ROC 모멘텀 n=148, threshold=-0.09 |
39.8% | -37.2% | 1.26 | 1.07 | 14.9x | 15 | 82% |
| Supertrend period=28, mult=3.2 |
34.0% | -26.1% | 1.24 | 1.30 | 10.6x | 41 | 67% |
| Parabolic SAR step=0.01, maxStep=0.04 |
32.7% | -28.7% | 1.24 | 1.14 | 9.8x | 58 | 60% |
| Keltner 채널 돌파 emaPeriod=38, atrPeriod=13, mult=1.8 |
29.8% | -31.1% | 1.19 | 0.96 | 8.2x | 42 | 54% |
| 볼린저 밴드 돌파 n=40, k=1.3 |
29.5% | -23.8% | 1.17 | 1.24 | 8.0x | 46 | 50% |
| SMA 크로스오버 fast=22, slow=110 |
34.2% | -31.1% | 1.15 | 1.10 | 10.7x | 13 | 71% |
| ADX / DI 방향성 period=27, threshold=11 |
28.7% | -27.2% | 1.08 | 1.06 | 7.7x | 70 | 66% |
| MACD fast=12, slow=65, signal=17 |
21.3% | -36.8% | 0.98 | 0.58 | 4.8x | 86 | 48% |
| Buy and hold | 39.0% | -45.7% | 1.18 | 0.85 | 14.2x | 1 | 100% |
Rules of the top strategy
A new high means a trend starting; a new low means it’s over (turtle-trading style).
- Buy — Buy on a breakout above the highest high of the last 27 days
- Sell — Sell when price breaks below the lowest low of the last 96 days